Quantitative Easing and Liquidity in the Japanese Government Bond Market

• 岩壷, 健太郎

• Taichi, Tomoki

抄録

The “Quantitative and Qualitative Monetary Easing” enacted immediately after the inauguration of Bank of Japan Governor Kuroda brought violent fluctuations in the prices of government bonds and deteriorated market liquidity. Does a central bank's government bond purchasing policy generally reduce market liquidity? Do conditions exist that can prevent such a decrease? This study analyzes how the Bank of Japan's purchasing policy changes influenced market liquidity. The results reveal that three specific policy changes contributed significantly to improving market liquidity: (i) increased purchasing frequency; (ii) a decrease in the purchase amount per auction; and (iii) reduced variability in the purchase amounts. These policy changes facilitated investors' purchase schedule expectations and helped reduce market uncertainty. The evidence supports the theory that the effect of government bond purchasing policy on market liquidity depends on the market's informational environment.

収録刊行物

• International Review of Finance

  International Review of Finance 18 (3), 463-475, 2018-09

  Wiley

キーワード

• Monetary Policy
• Quantitative Easing
• Liquidity
• Government Bond

詳細情報

• CRID: 1050575520346819712
• NII論文ID: 120006517715
• DOI: 10.1111/irfi.12134
• ISSN: 14682443
• ISSN: 1369412X
• HANDLE: 20.500.14094/90005181
• Web Site: https://api.wiley.com/onlinelibrary/tdm/v1/articles/10.1111%2Firfi.12134
• Web Site: https://onlinelibrary.wiley.com/doi/pdf/10.1111/irfi.12134
• 本文言語コード: en
• 資料種別: journal article
• データソース種別:
  • IRDB
  • Crossref
  • CiNii Articles
  • KAKEN